Gregory Connor : Citation Profile

14

H index

17

i10 index

1271

Citations

RESEARCH PRODUCTION:

20

Articles

34

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   40 years (1984 - 2024). See details.
   Cites by year: 31
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 15 (1.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco532
   Updated: 2025-12-13    RAS profile: 2025-08-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor.

Is cited by:

LINTON, OLIVER (30)

Bai, Jushan (25)

Barigozzi, Matteo (24)

Scaillet, Olivier (23)

Swanson, Norman (23)

Hallin, Marc (22)

Kapetanios, George (19)

Pesaran, Mohammad (19)

Forni, Mario (16)

Jagannathan, Ravi (16)

Ossola, Elisa (16)

Cites to:

Reinhart, Carmen (28)

Campbell, John (25)

LINTON, OLIVER (24)

Korajczyk, Robert (24)

French, Kenneth (20)

Fama, Eugene (18)

Engle, Robert (16)

Rogoff, Kenneth (12)

Bai, Jushan (11)

Bollerslev, Tim (11)

Shanken, Jay (10)

Main data

Where Gregory Connor has published?

Journals with more than one article published# docs
Financial Analysts Journal3
Journal of International Money and Finance2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth12
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2025 and 2024)

YearTitle of citing document
2025A projection based approach for interactive fixed effects panel data models. (2025). Wang, Weining ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Soberon, Alexandra. In: Papers. RePEc:arx:papers:2201.11482.

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2024Beta-Sorted Portfolios. (2024). Crump, Richard ; Cattaneo, Matias ; Wang, Weining. In: Papers. RePEc:arx:papers:2208.10974.

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2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Inference for Low-rank Models without Estimating the Rank. (2024). Liao, Yuan ; Choi, Jungjun ; Kwon, Hyukjun. In: Papers. RePEc:arx:papers:2311.16440.

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2024High Dimensional Factor Analysis with Weak Factors. (2024). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2402.05789.

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2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Ye, Junyi ; Gu, Jingyi ; Wang, Guiling ; Goswami, Bhaskar ; Uddin, Ajim. In: Papers. RePEc:arx:papers:2403.06779.

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2024Quantitative Investment Diversification Strategies via Various Risk Models. (2024). Chen, Xilin ; Panda, Prabhu Prasad ; Gharanchaei, Maysam Khodayari. In: Papers. RePEc:arx:papers:2407.01550.

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2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

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2024Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis. (2024). Wang, Cong. In: Papers. RePEc:arx:papers:2408.09271.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Sarafidis, Vasilis ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Kapetanios, George. In: Papers. RePEc:arx:papers:2506.21100.

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2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

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2025Large-dimensional Factor Analysis with Weighted PCA. (2025). Yuan, Ming ; Lyu, Zhongyuan. In: Papers. RePEc:arx:papers:2508.15675.

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2025Deep Learning for Conditional Asset Pricing Models. (2025). Liu, Hongyi. In: Papers. RePEc:arx:papers:2509.04812.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Xu, R ; Fan, Q. In: Janeway Institute Working Papers. RePEc:cam:camjip:2524.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2024Identification of matrix-valued factor models. (2024). Cheung, Ying Lun. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00461.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2025Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132.

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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Recourse and (strategic) mortgage defaults: Evidence from changes in housing market laws. (2025). Vlahu, Razvan ; Andrieș, Alin Marius ; Copaciu, Anca ; Popa, Radu. In: European Economic Review. RePEc:eee:eecrev:v:173:y:2025:i:c:s0014292125000042.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2025Investing in the batteries and vehicles of the future: A view through the stock market. (2025). Plante, Michael. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000398.

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2024Performance of active portfolio managers when the benchmark is not observable. (2024). Chavez-Bedoya, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003995.

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2024How do Treasury dealers manage their positions?. (2024). Fleming, Michael ; Rosenberg, Joshua ; Nguyen, Giang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:158:y:2024:i:c:s0304405x24001089.

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2024What difference do new factor models make in portfolio allocation?. (2024). Wang, Jiexun ; Jiang, Fuwei ; Fabozzi, Frank J ; Huang, Dashan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

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2024The enhanced benefits of ESG in portfolios: A multi-factor model perspective based on LightGBM. (2024). Zhou, Zhongsheng ; Gong, Xiaomin ; Xie, Fei ; Zhang, Chenyang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001161.

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2025Risk premium principal components for the Chinese stock market. (2025). Shao, Jingjing ; Mao, Jie ; Wang, Weiguan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003317.

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2024Exploiting the temporal characteristics of tidal stream power for green ammonia production. (2024). Baares-Alcantara, Rene ; Salmon, Nicholas ; Driscoll, Honora. In: Renewable Energy. RePEc:eee:renene:v:226:y:2024:i:c:s0960148124004427.

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2025Optimal phasing of tidal stream power around the British Isles and within the English Channel for green ammonia production. (2025). Driscoll, Honora ; Baares-Alcntara, Rene ; Salmon, Nicholas. In: Renewable Energy. RePEc:eee:renene:v:241:y:2025:i:c:s0960148124024030.

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2024Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach. (2024). Qin, Zhenjiang ; Dong, Liang ; Yu, BO. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000394.

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2024Investing in the Batteries and Vehicles of the Future: A View Through the Stock Market. (2024). Plante, Michael. In: Working Papers. RePEc:fip:feddwp:96951.

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2024Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors. (2024). Kim, Saejoon. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3442-:d:1513629.

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2024Sir David Hendry: An Appreciation from Wall Street and What Macroeconomics Got Right. (2024). Guerard, John B. In: Working Papers. RePEc:gwc:wpaper:2024-001.

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2024Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI. (2024). Uribe, Jorge ; Chuliá, Helena ; Khalili, Sabuhi ; Chulia, Helena. In: IREA Working Papers. RePEc:ira:wpaper:202402.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn_v1.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Aslanidis, Nektarios ; Bariviera, Aurelio ; Sarafidis, Vasilis ; Kapetanios, George. In: MPRA Paper. RePEc:pra:mprapa:125124.

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2025Expected return, realized return and asset pricing tests. (2025). Elton, Edwin J. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06246-4.

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2025Portfolio selection revisited. (2025). Shkolnik, Alex ; Gurdogan, Hubeyb ; Kercheval, Alec ; Bar, Haim ; Goldberg, Lisa R. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06340-7.

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2025Investments: the (almost) century of Markowitz Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire. (2025). Guerard, John. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06396-5.

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2024A comprehensive reexamination of the weather effects. (2024). Tsao, Chueh-Yung ; Chun-I Lee, . In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02492-w.

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2025Portfolio optimisation via strategy-specific eigenvector shrinkage. (2025). Goldberg, Lisa R ; Gurdogan, Hubeyb ; Kercheval, Alec. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:3:d:10.1007_s00780-025-00566-4.

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2025Recurrent double-conditional factor model. (2025). Fieberg, Christian ; Liedtke, Gerrit ; Poddig, Thorsten. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00771-1.

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2025Disrupting cognitive capacity through excessive technology use among academic staff: examining technostress, ethical decision-making, emotional exhaustion, and ethical climate. (2025). Amponsah, Richard ; Okyere, Isaac ; Delle, Eric ; Addai, Prince ; Govina, Sena Esi. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:10:d:10.1007_s43546-025-00903-x.

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2024An heuristic scree plot criterion for the number of factors. (2024). Jacobs, Jan ; Otter, Pieter W. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-023-01517-x.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202420.

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2025Performance of Pairs Trading Strategies Based on Principal Component Analysis Methods. (2025). Sun, Yufei. In: Working Papers. RePEc:war:wpaper:2025-21.

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2024Panel treatment effects measurement: Factor or linear projection modelling?. (2024). Zhou, Qiankun ; Hsiao, Cheng. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1332-1358.

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2024Changes in the span of systematic risk exposures. (2024). Liao, Yuan ; Todorov, Viktor. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:817-847.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:289497.

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Works by Gregory Connor:

YearTitleTypeCited
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article255
2012Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy.
[Full Text][Citation analysis]		article2
2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper35
2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		article
2006Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		paper
2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper16
2007Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
.() In: .
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This paper has nother version. Agregated cites: 16		paper
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2012Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica.
[Full Text][Citation analysis]		article54
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
1984A unified beta pricing theory In: Journal of Economic Theory.
[Full Text][Citation analysis]		article79
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article330
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article256
2015Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics.
[Full Text][Citation analysis]		article10
2012The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article27
2010The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2013Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article19
2012Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2006Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy.
[Full Text][Citation analysis]		article25
2004An Introduction to hedge funds In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper7
2001Tests of the Fama and French model in India In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper17
In: .
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In: .
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[Full Text][Citation analysis]		paper3
2012A Coasean Approach to Bank Resolution Policy in the Eurozone.(2012) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Market Dispersion and the Profitability of Hedge Funds In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2009The Risky Lending Gap In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper2
2013Irish Mortgage Default Optionality In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2014Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2014A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2015Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2016-Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Semi-strong factors in asset returns In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2024Semi-Strong Factors in Asset Returns*.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book29
How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices In: Journal of Risk.
[Full Text][Citation analysis]		article0
1985Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management.
[Full Text][Citation analysis]		article1
1996National versus Global Influences on Equity Returns In: Financial Analysts Journal.
[Full Text][Citation analysis]		article0
1996A Global Stock and Bond Model In: Financial Analysts Journal.
[Full Text][Citation analysis]		article1
1997Sensible Return Forecasting for Portfolio Management In: Financial Analysts Journal.
[Full Text][Citation analysis]		article0
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]		paper24
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]		paper14
1987New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
[Citation analysis]		paper2
1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper12
1990The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1995Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper3

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